I may be a little late to the party. It definitely makes a person nervous to post stats like this, but I like the philosophy of being transparent. Like many of the other commenters here, my sites are all too small to have data from the likes of Alexa. So here goes...

As you can see, the data from the two sources is pretty much going the same direction until May, where Compete goes off the rails. I have two other sites that show up on Compete, and the results are pretty much the same. That being: too low and sort of an exaggerated caricature of the real graph.

Here's another of my sites with the data graphed together. And here is a third site with data graphed together (as you can see, this third one is a Panda casualty).